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Journal paper
Audrino, F. (2012). What drives short rate dynamics? A functional gradient descent approach. Computational Economics, 39(3), 315-335.
   
Audrino, F., & Colangelo, D. (2012). Option strategies based on semi-parametric implied volatility surface prediction. Journal of Investment Strategies, 1(1), 3-41.
   
Audrino, F., & Medeiros, M. C. (2011). Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process. Journal of Applied Econometrics, 26(6), 999-1022.
   
Audrino, F., & Trojani, F. (2011). A General Multivariate Threshold GARCH Model for Dynamic Correlations. Journal of Business and Economic Statistics, 29(1), 138-149.
   
Audrino, F., & Corsi, F. (2010). Modeling tick-by-tick realized correlations. Computational Statistics and Data Analysis, 54(11), 2372-2382.
   
Audrino, F., & Colangelo, D. (2010). Semi-parametric forecasts of the implied volatility surface using regression trees. Statistics and Computing, 20(4), 421-434.
   
Audrino, F., & Bühlmann, P. (2009). Splines for Financial Volatility. Journal of the Royal Statistical Society, Series B, 71(3), 655-670.
   
Audrino, F., & Trojani, F. (2007). Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent. Journal of Financial Econometrics, 5(4), 591-623.
   
Audrino, F., & De Giorgi, E. (2007). Beta regimes for the Yield Curve. Journal of Financial Econometrics, 5(3), 456-490.
   
Audrino, F., Fernholz, R., & Ferretti, R. (2007). A forecasting model for stock market diversity. Annals of Finance, 3, 213-240.
   
Audrino, F., & Barone Adesi, G. (2006). Average Conditional Correlation and Tree Structures for Multivariate GARCH Models. Journal of Forecasting, 25(8), 579-600.
   
Audrino, F., & Barone Adesi, G. (2006). A dynamic model of expected bond returns: A functional gradient descent approach. Computational Statistics & Data Analysis, 51(4), 2267-2277.
   
Audrino, F. (2006). Tree-structured multiple regimes in interest rates. Journal of Business & Economic Statistics, 24(3), 338-353.
   
Audrino, F., & Trojani, F. (2006). Estimating and predicting multivariate volatility thresholds in global stock markets. Journal of Applied Econometrics, 21, 345-369.
   
Audrino, F. (2006). The impact of general non-parametric volatility functions in multivariate GARCH models. Computational Statistics & Data Analysis, 50, 3032-3052.
   
Audrino, F. (2005). Local Likelihood for non paramentric ARCH(1) models. Journal of Time Series Analysis, 26(2), 251-278.
   
Audrino, F., & Barone Adesi, G. (2005). A multivariate FGD technique to improve VaR computation in equity markets. Computational Management Science, 2, 87-106.
   
Audrino, F., Barone Adesi, G., & Mira, A. (2005). The stability of factor models of interest rates. Journal of Financial Econometrics, 3(3), 422-441.
   
Audrino, F., & Barone Adesi, G. (2005). Functional gradient descent for financial time series with an application to the measurement of market risk. Journal of Banking & Finance, 29, 959-977.
   
Audrino, F., & Bühlmann, P. (2004). Synchronizing multivariate financial time series. Journal of Risk, 6(2), 81-106.
   
Audrino, F., & Bühlmann, P. (2003). Volatility estimation with functional gradient descent for very high-dimensional financial time series. Journal of Computational Finance, 6(3), 65-89.
   
Audrino, F., & Bühlmann, P. (2001). Tree-structured GARCH models. Journal of the Royal Statistical Society, Series B, 63(4), 727-744.
   
capitolo libro
Audrino, F., Corsi, F., & Reno, R. (2012). HAR Modeling for Realized Volatility Forecasting. In Handbook of Volatility Models and their Applications (pp. 1): John Wiley & Sons, Incorporated.
   
bozza lavoro
Audrino, F., Corsi, F., & Peluso, S. (2012). Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation. St. Gallen: SEPS Working Paper Series.
   
Audrino, F. (2011). Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks. Discussion papers in economics: SEPS-UNISG.
   
Audrino, F. (2010). Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators. VWA Discussion Paper Series: Economic Deparment, University of St. Gallen.
   
Audrino, F., & Filipova, K., University of St. Gallen Department of Economics (Eds.), (2009). Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach. University of St. Gallen Department of Economics working paper series 2009. St. Gallen: University of St. Gallen.
   
Audrino, F., & Madeiros, M. C. (2008). Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process: Discussion papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen.
   
Audrino, F., & Corsi, F. (2008). Modeling Tick-by-Tick Realized Correlations: Discussion Papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen.
   
Audrino, F., & Corsi, F. (2008). Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects: Discussion papers. 2008. St. Gallen: Volkswirtschaftliche Abteilung Universität St. Gallen.
   
Audrino, F., & Colangelo, D. (2007). Forecasting Implied Volatility Surfaces. VWA Discussion Papers Series: University of St. Gallen.
   
Audrino, F., & Colangelo, D. (2007). Forecasting Implied Volatility Surfaces: 2007-42, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Trojani, F. (2007). A general multivariate threshold GARCH model with dynamic conditional correlations (Revised Version of Paper no. 2005-04): 2007-25, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Trojani, F. (2007). Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent: 2007-24, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Bühlmann, P. (2007). Splines for Financial Volatility: 2007-11, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Corsi, F. (2007). Realized Correlation Tick-by-Tick: 2007-02, VWA Discussion Papers Series, HSG St. Gallen.
   
Audrino, F., & Trojani, F. (2005). A general multivariate threshold GARCH model with dynamic conditional correlations: 2005-04, VWA Discussion Papers Series, HSG St. Gallen.
   
 
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*citation format: APA 5